Difference between using VSE and direct output as video?
Difference is huge!

Imagine you have animation of 2000+ frames long and you outputing it straight as HD video. Let's say at frame 1900 electricity went down or another PC problem occured - it will ruin all rendering! Output file will be corrupted and useless.

Now think about Image sequence + VSE combination, if everything went wrong during rendering - you still have 1900 frames ready, so nothing to worry about. This is very simple case, but there are much more advantages of image sequence output (like distributed rendering on several PC's, re-rendering minor oversights and others).

Straight to video might be usefull for quick OpenGL viewport preview or low-res renders, where actual rendering process takes about 1-10 seconds for a frame.